Exchange Rate Uncertainty,Forward Contracts,and International Portfolio Selection

In this paper, ex ante efficient portfolio selection strategies are developed to realize potential gains from international diversification under flexible exchange rates. It is shown that exchange rate uncertainty is a largely nondiversifiable factor adversely affecting the performance of international portfolios. Therefore, it is essential to effectively control exchange rate volatility. For that purpose, two methods of exchange risk reduction are simultaneously employed: multicurrency diversification and hedging via forward exchange contracts. The empirical findings show that international portfolio selection strategies designed to control both estimation and exchange risks almost consistently outperform the U.S. domestic portfolio in out-of-sample periods.     

The effect of water hardness on washing performance of built and unbuilt surfactants

Five different surfactants were used at 2.0% concentrations. The most and least effective were found to be Synthrapol N and Ahcowet RS respectively; based on their rating of whiteness index. Synthrapol N and Ahcowet RS were evaluated with the addition of sodium carbonate, sodium tripolyphosphate and a 1:1 combination of the two builders. In both cases the addition of a builder improved the cleaning efficiency of the surfactant. Although each builder alone improved the cleaning efficiency, the combination of sodium carbonate and sodium tripolyphosphate improved efficiency at a lower total concentration.     

Estimation of Household Expenditure Functions:An Application of a Class of Heteroscedastic Regression Models*

A class of heteroscedastic regression models is applied to the estimation of household expenditure functions using data from the 1966-68 Macquarie University survey. Under the assumption that expenditure observations are normally distributed, the hypothesis that their variances are proportional to the squares of their expectations is investigated. In addition, the hypotheses tests derived by Amemiya (1973a) for discriminating between heteroscedastic regression models with gamma or lognormal distributions are applied to the same expenditure data.     

Deviations from Purchasing Power Parity in the Long Run

This paper demonstrates that deviations from purchasing power parity reveal a remarkable and possibly startling consistency with martingale behavior during both fixed and flexible rate periods, for a wide variety of countries, and in both monthly and annual data. Since this pattern appears to be much more general than one would expect on the basis of models founded on international commodity arbitrage, the paper proposes an alternative explanation which instead relies on financial arbitrage in bonds as the underlying mechanism.     

The Effects of Stock Splits on Bid-Ask Spreads

This paper examines the effects of stock splits on bid-ask spreads for NYSE-listed companies. Percentage spreads increase after splits, representing a liquidity cost to investors. These spread increases are directly related to decreases in share prices following splits and can explain part, but not all, of the observed increase in return variability after splits. The evidence thus suggests a liquidity cost of stock splits that must be weighed against any other perceived benefits of splits. Such a liquidity cost may validate that stock splits are a signal of favorable information about the firm.     

Sex Differences in Labour Turnover in the Australian Public Service*

This paper reports the use of a large data set of Australian government employees in an analysis of the influence of sex on voluntary labour turnover. Estimates derived from a conventional quit model are used to obtain ceteris paribus sex specific quit probabilities. These suggest that once other relevant variables are held constant, the expected quit differences between men and single women are significantly reduced. The analysis indicates clearly that the use of aggregate statistics may substantially exaggerate turnover differences attributable to sex.